Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0347
Annualized Std Dev 0.2721
Annualized Sharpe (Rf=0%) 0.1274

Row

Daily Return Statistics

Close
Observations 5232.0000
NAs 1.0000
Minimum -0.1570
Quartile 1 -0.0060
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0070
Maximum 0.1566
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0171
Skewness 0.1511
Kurtosis 13.6633

Downside Risk

Close
Semi Deviation 0.0121
Gain Deviation 0.0135
Loss Deviation 0.0136
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0120
Downside Deviation (0%) 0.0120
Maximum Drawdown 0.8022
Historical VaR (95%) -0.0237
Historical ES (95%) -0.0412
Modified VaR (95%) -0.0224
Modified ES (95%) -0.0224
From Trough To Depth Length To Trough Recovery
2007-02-21 2009-03-06 2018-01-11 -0.8022 2744 515 2229
2020-02-18 2020-03-23 2021-02-22 -0.4257 256 25 231
2001-01-04 2002-10-09 2004-01-05 -0.3433 752 441 311
2018-01-29 2018-12-24 2019-07-01 -0.2080 358 229 129
2000-10-04 2000-10-12 2000-12-27 -0.1343 59 7 52

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 2.4 -1 0.8 -1.1 0.5 -1.1 -0.5 -1 -1
2001 0.2 0.4 1.9 0.5 -0.5 -0.5 0.4 0.4 -0.3 1.2 -0.1 -0.1 3.7
2002 -0.8 1 -0.4 0.5 0.7 -1.7 -2.1 0 4.1 1.1 -0.7 -0.4 1
2003 0.9 -0.2 2.1 0 1.9 1.2 -1.9 0.8 2.2 0.3 1 -0.1 8.4
2004 0.7 0.9 1 -0.2 -0.4 -0.6 -0.3 -0.5 1.3 0.1 1.9 0 3.9
2005 1 1.3 -0.9 1.3 0.8 0.4 -0.2 0.4 -0.2 -0.7 0.8 -0.5 3.7
2006 0.3 0.6 0.3 -1.4 1.4 0 -0.1 0.2 -0.3 -0.8 -0.5 -0.7 -1.1
2007 0.5 -0.3 -0.1 0 0.3 -0.8 0.3 1.2 2.1 -4.1 3.1 0.5 2.6
2008 2.1 -3.8 7 3.9 -0.7 1 0.7 -0.3 1.1 4.8 -15.7 3.1 1.2
2009 -2.3 -4.5 2.4 -1.3 1.2 -0.4 0.7 -4.7 -3.9 -4.2 0.3 -0.4 -16.1
2010 1.3 0.4 0.8 -2.4 -2.2 -0.7 -0.1 3.7 0.8 -0.1 2.1 0.1 3.5
2011 1.9 -2 0.8 -0.2 -3.2 1.8 -0.3 -2.2 -3.2 -4.4 -0.6 -0.7 -11.8
2012 1.6 1.1 0.4 1 -3.5 2.5 -0.5 0.6 0.4 1.3 0 0.8 5.8
2013 1.3 0.4 -0.5 -1.1 -1.5 0.5 1.5 -0.7 1 0.2 -0.4 0.4 1.1
2014 -1.3 0.6 0.4 0.2 0.2 0.6 -0.7 0.5 -1.1 1.2 -0.8 -1.2 -1.4
2015 -1.5 -0.3 -0.1 0.8 0.3 1.4 -0.3 -3.5 0.2 -1.3 1.1 -0.9 -4.3
2016 -0.5 3.4 0.7 -0.7 0.3 -0.4 -0.2 -0.3 0.9 -0.8 0.7 0.3 3.4
2017 -0.2 2 -0.4 0.5 1.1 -0.1 0.7 0.3 0.3 0.2 0.2 -0.4 4.4
2018 0.6 -1.4 1.2 0.3 0.9 -0.1 0.2 0 0 0.6 0.8 0.8 3.8
2019 0.5 0.4 1.7 -0.7 -1 0.7 -1.4 0.2 -1.7 1.1 -0.2 0.2 -0.1
2020 -2 -2 -6.2 -3.2 1.3 -0.1 -0.2 0.2 0.8 -0.1 1.4 1 -9.2
2021 1.5 2.5 -1.6 NA NA NA NA NA NA NA NA NA 2.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-05-31  36.8 SPY    143.  0.0007   0.0349  -0.0289   0.0316   0.0996       NA       NA <NA>     NA    NA       NA
2 2000-06-01  37.7 SPY    145.  0.0175   0.0361   0.0082   0.049    0.113        NA       NA <NA>     NA    NA       NA
3 2000-06-02  39.2 SPY    148.  0.0174   0.0725   0.0439   0.0476   0.110        NA       NA <NA>     NA    NA       NA
4 2000-06-05  38.7 SPY    147. -0.0049   0.0661   0.0375   0.0523   0.102        NA       NA <NA>     NA    NA       NA
5 2000-06-06  37.7 SPY    146. -0.0045   0.0263   0.0205   0.0687   0.108        NA       NA <NA>     NA    NA       NA
6 2000-06-07  38.5 SPY    147.  0.0069   0.0327   0.0353   0.0775   0.116        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart